com.numericalmethod.suanshu.stats.test.timeseries.adf
Class AugmentedDickeyFuller

java.lang.Object
  com.numericalmethod.suanshu.stats.test.HypothesisTest
      com.numericalmethod.suanshu.stats.test.timeseries.adf.AugmentedDickeyFuller

public class AugmentedDickeyFuller
extends HypothesisTest

The Augmented Dickey Fuller test tests whether a one-time differencing (d = 1) will make the time series stationary. That is, whether the series has a unit root.

Cheung and Lai (1995) pointed out that the lag order does have some effect on the critical values, esp. when the sample size is small.

The R equivalent function is adf.test in package tseries.

See Also:

• "S. E. Said and D. A. Dickey, "Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order," Biometrika, vol. 71, no. 3, pp.599–607, 1984."
• "Yin-Wong Cheung, Kon S. Lai, "ESTIMATING FINITE SAMPLE CRITICAL VALUES FOR UNIT ROOT TESTS USING PURE RANDOM WALK PROCESSES," Journal of Time Series Analysis, vol. 16, issue 5, pp.493-498, 1995."

Nested Class Summary

static class

AugmentedDickeyFuller.TrendType the three versions of augmented Dickey-Fuller (ADF) test

Field Summary

int	lagOrder the lag order
AugmentedDickeyFuller.TrendType	type the trend type

Fields inherited from class com.numericalmethod.suanshu.stats.test.HypothesisTest

k, N, pValue, testStatistics

Constructor Summary

AugmentedDickeyFuller(double[] xt)
Perform the Augmented Dickey-Fuller test statistics to test for the existence of uniroot.

AugmentedDickeyFuller(double[] xt, AugmentedDickeyFuller.TrendType type, int lagOrder, AdfDistribution dist)
Perform the Augmented Dickey-Fuller test statistics to test for the existence of uniroot.

Method Summary

java.lang.String	alternativeHypothesis() Get a description of the alternative hypothesis.
java.lang.String	nullHypothesis() Get a description of the null hypothesis.

Methods inherited from class com.numericalmethod.suanshu.stats.test.HypothesisTest

oneSidedPvalue, pValue, rejectNull, testStatistics

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

type

public final AugmentedDickeyFuller.TrendType type

the trend type

lagOrder

public final int lagOrder

the lag order

Constructor Detail

AugmentedDickeyFuller

public AugmentedDickeyFuller(double[] xt,
                             AugmentedDickeyFuller.TrendType type,
                             int lagOrder,
                             AdfDistribution dist)

Perform the Augmented Dickey-Fuller test statistics to test for the existence of uniroot.

Parameters:

xt - a time series

type - the trend type

lagOrder - the lags; when lagOrder == 0, we perform the standard Dickey-Fuller test.

dist - the ADF distribution to use; in general, the correct ADF distribution to use depends on the trend type, as well as lag order; to improve accuracy, the user may generate and use a customized ADF distribution; null if to use the default

AugmentedDickeyFuller

public AugmentedDickeyFuller(double[] xt)

Perform the Augmented Dickey-Fuller test statistics to test for the existence of uniroot.

Lag order is automatically selected as in R.

nLag = (int) Math.pow((series.length - 1, 1.0 / 3.0));

which corresponds to the suggested upper bound on the rate.

Parameters:

xt - a time series

Method Detail

nullHypothesis

public java.lang.String nullHypothesis()

Description copied from class: HypothesisTest

Get a description of the null hypothesis.

Specified by:

nullHypothesis in class HypothesisTest

Returns:

the null hypothesis description

See Also:

Wikipedia: Null hypothesis

alternativeHypothesis

public java.lang.String alternativeHypothesis()

Description copied from class: HypothesisTest

Get a description of the alternative hypothesis.

Specified by:

alternativeHypothesis in class HypothesisTest

Returns:

the alternative hypothesis description

See Also:

Wikipedia: Alternative hypothesis